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dc.contributor.authorBornholt, Grahamen_US
dc.contributor.editorRobert Faffen_US
dc.date.accessioned2017-04-24T11:46:34Z
dc.date.available2017-04-24T11:46:34Z
dc.date.issued2007en_US
dc.identifier.issn08105391en_US
dc.identifier.doi10.1111/j.1467-629X.2007.00202.xen_US
dc.identifier.urihttp://hdl.handle.net/10072/18459
dc.description.abstractThis paper offers an alternative method for estimating expected returns. The proposed reward beta approach performs well empirically and is based on asset pricing theory. The empirical section compares this approach with the capital asset pricing model (CAPM) and the Fama-French three-factor model. In out-of-sample testing, both the CAPM and the three-factor model are rejected. In contrast, the reward beta approach easily passes the same test. In robustness checks, the reward beta approach consistently outperforms both the CAPM and the three-factor model.en_US
dc.description.peerreviewedYesen_US
dc.description.publicationstatusYesen_US
dc.languageEnglishen_US
dc.language.isoen_US
dc.publisherBlackwell Publishing Asia Pty Ltden_US
dc.publisher.placeCarlton, Victoria, Australiaen_US
dc.relation.ispartofstudentpublicationNen_US
dc.relation.ispartofpagefrom69en_US
dc.relation.ispartofpageto83en_US
dc.relation.ispartofjournalAccounting and Financeen_US
dc.relation.ispartofvolume47en_US
dc.rights.retentionYen_US
dc.subject.fieldofresearchFinanceen_US
dc.subject.fieldofresearchcode150201en_US
dc.titleExtending the capital asset pricing model: the reward beta approachen_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Peer Reviewed (HERDC)en_US
dc.type.codeC - Journal Articlesen_US
gro.facultyGriffith Business School, Department of Accounting, Finance and Economicsen_US
gro.date.issued2015-01-29T01:32:08Z
gro.hasfulltextNo Full Text


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